Gianfranco Vento | Regent's University London (original) (raw)
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Papers by Gianfranco Vento
The aim of the paper is to analyse the current liquidity risk management techniques and superviso... more The aim of the paper is to analyse the current liquidity risk management techniques and supervisory approaches, in order to identify how both could be improved in the light of the recent market turmoil caused by the sub-prime crisis and potential sources of instability directly connected with the 'originate-to-distribute' business model. Current liquidity risk models demonstrated to undervalue extreme events affecting funding and market risk in global scenarios. At the same time, regulatory and supervisory regimes continue to be nationally based and substantially differentiated, pointing out significant differences which, in some circumstances, could generate regulatory arbitrages, as well as the effectiveness of supervisory actions could be reduced. The research, therefore, intends to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework for global financial markets. In this perspective, the effort of a regulatory authority to validate the adoption of internal models for liquidity risk is also investigated. Last, the paper analyses the most important lessons concerning liquidity management from recent episodes of stress.
The paper analyzes the behavior of the Italian e-MID unsecured interbank market during the recent... more The paper analyzes the behavior of the Italian e-MID unsecured interbank market during the recent financial turmoil, highlighting some peculiarities occurred in the last two years. The aim of the research is to investigate how the operative solutions recently adopted by the e-MID may represent a viable answer in order to improve the liquidity distribution. For this purpose, the paper examines the interbank transactions within the euro area since the current financial crisis started, both in the e-MID and in the over-the-counter interbank markets, pointing out if the introduction of an anonymous and collateralized segment in the e-MID market since February 2009 may improve the liquidity distribution within the euro area.
The aim of the paper is to analyse the current liquidity risk management techniques and superviso... more The aim of the paper is to analyse the current liquidity risk management techniques and supervisory approaches, in order to identify how both could be improved in the light of the recent market turmoil caused by the sub-prime crisis and potential sources of instability directly connected with the 'originate-to-distribute' business model. Current liquidity risk models demonstrated to undervalue extreme events affecting funding and market risk in global scenarios. At the same time, regulatory and supervisory regimes continue to be nationally based and substantially differentiated, pointing out significant differences which, in some circumstances, could generate regulatory arbitrages, as well as the effectiveness of supervisory actions could be reduced. The research, therefore, intends to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework for global financial markets. In this perspective, the effort of a regulatory authority to validate the adoption of internal models for liquidity risk is also investigated. Last, the paper analyses the most important lessons concerning liquidity management from recent episodes of stress.
The paper analyzes the behavior of the Italian e-MID unsecured interbank market during the recent... more The paper analyzes the behavior of the Italian e-MID unsecured interbank market during the recent financial turmoil, highlighting some peculiarities occurred in the last two years. The aim of the research is to investigate how the operative solutions recently adopted by the e-MID may represent a viable answer in order to improve the liquidity distribution. For this purpose, the paper examines the interbank transactions within the euro area since the current financial crisis started, both in the e-MID and in the over-the-counter interbank markets, pointing out if the introduction of an anonymous and collateralized segment in the e-MID market since February 2009 may improve the liquidity distribution within the euro area.